projectedvariatepathgeneratorfactory.hpp

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/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file projectedvariatepathgeneratorfactory.hpp
    \brief path generator factory that builds a projected path generator
    \ingroup methods
*/
 
#pragma once
 
#include <qle/methods/multipathvariategenerator.hpp>
#include <qle/methods/projectedvariatemultipathgenerator.hpp>
#include <qle/methods/pathgeneratorfactory.hpp>
 
namespace QuantExt {
 
class ProjectedVariatePathGeneratorFactory : public PathGeneratorFactory {
public:
    ProjectedVariatePathGeneratorFactory(const std::vector<Size>& stateProcessProjection,
                                         const QuantLib::ext::shared_ptr<MultiPathVariateGeneratorBase>& variateGenerator)
        : stateProcessProjection_(stateProcessProjection), variateGenerator_(variateGenerator) {}
    QuantLib::ext::shared_ptr<MultiPathGeneratorBase> build(const SequenceType s,
                                                    const QuantLib::ext::shared_ptr<StochasticProcess>& process,
                                                    const TimeGrid& timeGrid, const BigNatural seed,
                                                    const SobolBrownianGenerator::Ordering ordering,
                                                    const SobolRsg::DirectionIntegers directionIntegers) override {
        return QuantLib::ext::make_shared<ProjectedVariateMultiPathGenerator>(process, timeGrid, stateProcessProjection_,
                                                                      variateGenerator_);
    }
 
private:
    const std::vector<Size> stateProcessProjection_;
    const QuantLib::ext::shared_ptr<MultiPathVariateGeneratorBase> variateGenerator_;
};
 
} // namespace QuantExt